Appendix G — Index

An alphabetical index of key concepts, models, and OCaml features, with links to the chapters where they are introduced and developed.

A

Accrued interest → Ch 6
Adverse selection → Ch 22
Algebraic data types (ADTs) → Ch 2
Algebraic effects → Ch 2 §2.11, Ch 29 §29.6
Almgren-Chriss model → Ch 23
Alpha → Ch 19
American options → Ch 11, Ch 12
Arbitrage → Ch 5, Ch 10
Asian options → Ch 12
At-the-money (ATM) → Ch 10

B

Barrier options → Ch 12
Basel III/IV → Ch 18, Ch 20
Basis point (bp) → Ch 6
Beta → Ch 19
Bid-ask spread → Ch 22
Binomial tree (CRR) → Ch 11
Black-Karasinski model → Ch 8
Black-Scholes model → Ch 10
Black's model → Ch 8
Bond pricing → Ch 6
Bootstrapping → Ch 7
Box-Muller transform → Ch 4, Ch 12
Brownian motion → Ch 3, Ch 4

C

Cap / Floor → Ch 8
CCAR / DFAST → Ch 18
CDO → Ch 16
CDS (Credit Default Swap) → Ch 15
Cholesky decomposition → Ch 3, Ch 17
CIR model → Ch 8
Coherent risk measure → Ch 18
Convexity → Ch 6
Copula → Ch 16
Coupon bond → Ch 6
Crank-Nicolson → Ch 12
Credit spread → Ch 15
CVA → Ch 20

D

Dark pool → Ch 22
Day count convention → Ch 5, Ch 6
Default probability → Ch 15
Delta (Δ) → Ch 10
Discount factor → Ch 5
Distance to default → Ch 15
Dune (build system) → Ch 2, Appendix E
Duration (modified) → Ch 6
DVA → Ch 20
DV01 → Ch 6

E

Efficient frontier → Ch 21
Expected Shortfall (ES) → Ch 18
Exotic options → Ch 14

F

Feynman-Kac formula → Ch 12
Finite differences → Ch 12
First-class modules → Ch 2 §2.12
Forward contract → Ch 9
Forward rate → Ch 7
FRTB → Ch 18
Functors (OCaml) → Ch 2
FVA → Ch 20

G

GADTs → Ch 2 §2.10
Gamma (Γ) → Ch 10
Gaussian copula → Ch 16
GBM (Geometric Brownian Motion) → Ch 4, Ch 10
Girsanov's theorem → Ch 3
Glosten-Milgrom model → Ch 22
Greeks → Ch 10

H

Hazard rate → Ch 15
Heath-Jarrow-Morton (HJM) → Ch 8
Heston model → Ch 13
HFT (High-Frequency Trading) → Ch 25
Hull-White model → Ch 8

I

IFRS 9 → Ch 20
Implementation shortfall → Ch 23
Implied volatility → Ch 10
Interest rate swap → Ch 8
Itô's lemma → Ch 3

K

KVA → Ch 20
Kupiec test → Ch 18
Kyle's lambda → Ch 22

L

LIBOR Market Model (BGM) → Ch 8
Limit order → Ch 22
Local volatility → Ch 13
Longstaff-Schwartz (LSM) → Ch 12

M

Markowitz portfolio theory → Ch 21
Market impact → Ch 23
Martingale → Ch 3
Merton model → Ch 15
Monte Carlo → Ch 12
Modules (OCaml) → Ch 2
MVA → Ch 20

N

Nelson-Siegel → Ch 7
Newton-Raphson → Ch 3
Normal distribution → Ch 4

O

OCaml 5 (domains, effects) → Ch 2, Ch 29
opam → Appendix E
Order book → Ch 22
OxCaml → Ch 31

P

Par rate → Ch 7
Participation rate → Ch 23
Phantom types → Ch 2, Ch 29
Polymorphic variants → Ch 2 §2.15
PPX → Ch 2 §2.13
Present value → Ch 5
Property-based testing (QCheck) → Ch 2 §2.17, Ch 29 §29.7
Put-call parity → Ch 10

Q

QCheck → Ch 2 §2.17, Ch 29 §29.7
qf_lib → Appendix F, Appendix E §A.8
Quasi-Monte Carlo → Ch 12

R

Recovery rate → Ch 15
Rho (ρ) → Ch 10
Risk-neutral measure → Ch 3, Ch 10
Risk parity → Ch 21
Rough volatility → Ch 26

S

SABR model → Ch 26
Scenario analysis → Ch 18
Sharpe ratio → Ch 21
SIMM → Ch 20
Slippage → Ch 23
SOFR → Ch 7
Spot rate → Ch 7
Square-root law → Ch 23
Stochastic volatility → Ch 13, Ch 26
Stress testing → Ch 18
Survival probability → Ch 15
Swaption → Ch 8

T

Tail recursion → Ch 2
Theta (Θ) → Ch 10
Time value of money → Ch 5
TWAP → Ch 23
Type inference → Ch 2

V

Value at Risk (VaR) → Ch 18
Variance swap → Ch 26
Vasicek model → Ch 8
Vega (ν) → Ch 10
Volatility smile/skew → Ch 10, Ch 26
Volatility surface → Ch 26
VWAP → Ch 23

X–Z

XVA → Ch 20
Yield curve → Ch 7
Yield to maturity (YTM) → Ch 6
Z-spread → Ch 15

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